David Pierce has made available a pre-packaged Windows binary version of his ncdf4 package for R. Go to his ncdf page to download the zip file you need. The current file at the time of this writing is ncdf_1.8.1.zip.

After downloading the zip file to your Windows computer, you can install this R package most quickly by opening a Rgui.exe window, then going to the menus and choosing Packages>Install package(s) from local zip files…, select the zip file you downloaded, and hit Open to have R install the package.